BPCE - 2018 Risk report / Pillar III

14 APPENDICES Glossary

Glossary 14.4

Acronyms ABS

See securitization

Autoritéde ContrôlePrudentielet de Résolution , the Frenchprudentialsupervisoryauthorityfor the bankingand Insurancesector (formerlythe CECEI,or Comitédesétablissements de créditet desentreprisesd’investissement/Credit InstitutionsandInvestment Firms Committee) AssociationFrançaise des EntreprisesPrivées – Mouvementdes Entreprisesde France/French Association of Private Sector Companies – French Business Confederation

ACPR

AFEP-MEDEF

AFS

Available For Sale

A-IRB

Advanced IRB approach

ALM AMF

Asset andLiability Management

Autorité des Marchés Financiers /French financial marketsauthority Anti-Money Laundering andCounter-Terrorism Financing

AML-CTF

AQR AT1

Asset Quality Review, which involves thesupervisory assessment of risks, theactual review of the qualityof assetsandstresstests

AdditionalTier1

Basel Committee on BankingSupervision,an organizationcomprisedof the centralbankgovernorsof the G20countries,tasked with strengthening the globalfinancialsystemand improvingthe efficacyof prudentialsupervisionand cooperationamongbank regulators

BCBS

BCP

BusinessContinuity Plan

BRRD

Bank Recovery and ResolutionDirective

CCF CDO

Credit Conversion Factor

See securitization

Credit DerivativesProductsCompany,

i.e. a businessspecializingin providingprotectionagainstcredit default throughcredit

CDPC

derivatives

Credit DefaultSwap, a credit derivativecontractunder which the party wishingto buy protectionagainsta credit event (e.g. counterpartydefault) makesregularpaymentsto a thirdpartyandreceivesa pre-determined paymentfromthisthirdpartyshould thecrediteventoccur

CDS

CEGC CET1

Compagnie Européenne de Garantieset de Cautions;

Common Equity Tier 1 See securitization See securitization

CLO

CMBS CNCE

Caisse Nationale des Caissesd’Epargne Credit PortfolioManagement Capital Requirements Directive Capital Requirements Regulation

CPM CRD CRR

CreditValuationAdjustment, i.e. the expectedloss relatedto the risk of defaultby a counterparty.The CVA aims to take into accountthe fact that the full marketvalue of the transactionsmay not be recovered.The methodfor determiningthe CVA is primarily based on theuseof market inputs in connection withe practicesof market professionals CreditValue-at-Risk, i.e. theworstlossexpectedto be sufferedaftereliminating the 1%worst-casescenarios,usedto determine individual counterparty limits Debit ValuationAdjustment,symmetricalto the CVA. Representsthe expectedloss, from the counterparty’sperspective,on valuations of derivative liabilities. It reflectsthe impact of the ntity’sowncredit quality on thevaluation of these instruments TheEuropeanBankingAuthority,establishedby EU Regulationon November 24, 2010.It cameintobeingon January 1,2011in London, superseding the Committeeof EuropeanBankingSupervisors (CEBS).Thisnewbodyhasan expandedmandate. It is in charge of harmonizing prudentialstandards,ensuring coordinationamong the various national supervisoryauthoritiesand performing theroleof mediator.Thegoalis to establisha Europe-wide supervisionmechanismwithoutcompromising theabilityof thenational authorities to conducttheday-to-day supervision of credit institutions. Exposureat Default, i.e. the amountowedby the customerat the effectivedefaultdate.It is the sumof the remainingprincipal, pastduepayments,accrued interestnot yet due, fees andpenalties EnhancedDisclosure Task Force, an internationaltask force formed at the initiativeof the FinancialStabilityBoard (FSB) in May 2012to considerways to enhancebanks’financialdisclosures.The EDTF is madeup of representatives from the private sectorandof usersandpreparersof financialdisclosures. In October 2012, it publisheda reportcontaining32 recommendations aimed at enhancingdisclosureson risk management,capitaladequacy,and exposureto liquidity,funding,market,credit and otherrisks European Central Bank

CVA

CVaR

DVA

EBA ECB

EAD

EDTF

EIB

European Investment Bank

Expected Loss,i.e. thevalueof the loss likelyto be incurredgiventhequalityof thestructureof thetransactionandanymeasures takento mitigaterisk,suchas collateral. It is calculatedby multiplying exposureat risk (EAD)by Probabilityof Default(PD)andby LossGivenDefault (LGD)

EL

EURIBOR

Euro Interbank Offered Rate, the benchmark interest rateon theeurozone’s money market

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Risk Report Pillar III 2018